IVolatility.com - data and services usage: Daily Updates Wizard

This newsletter continues our series of IVolatility.com Data and Services Usage series newsletters. This time we will cover yet another data service � Daily Updates Wizard.

The Daily Updates Wizard is the easiest way to make implied volatility data delivered to your e-mail Inbox daily. You can configure your IVolatility.com profile in such a way so every night, after market close, IVolatility.com will email you a file (or a link to download this file) containing Implied or Realized (historical) volatility data for the last trading day.

This service is a perfect tool for individual traders who track a limited (up to 50) number of instruments � stocks, indices or ETFs. For those interested in larger data coverage we offer a bulk data delivery service (here is the form to submit or, just email us at support@ivolatility.com) � for large requests we also provide large price discounts.

Available Datasets

The Daily Updates Wizard offers exactly same set of datasets as the Data Download Wizard does:

  • Realized (Historical) Volatility - a statistical measure of the variability of a stock price. To be exact this is �a standard deviation of a stock's returns over a fixed number of observations�. See our Knowledge Base for an in-depth description.
  • Individual Option Contract Implied Volatility data (Raw IV) on each option provides actual Implied volatility and Greeks based on the full string for the listed contracts (including contracts bid/ask, volume and open interest).
  • Implied Volatility Index (IV Index) is a best measure of averaged implied volatility for an equity or Index. We calculate such a composite Volatility for a stock by taking suitable weighted individual option volatilities (see more in the Knowledge Base)
  • Implied Volatility Surface by Moneyness: a surface normalized by moneyness and maturity built on �raw� IV basis by interpolation. The most convenient way to capture data for any kind of options historical analysis as it provides the standard matrix of moneyness and days to expiration. See Volatility Surface by �Moneyness� section in our recent article on available representations of Implied Volatility surface.
  • And finally, due to a large interest, a subset or Raw IV dataset - Equity Options prices (NBBO) with volume and open interest was added recently.

Service cost and limitations

Unlike the rest of IVolatility.com, Data Download Wizard and Daily Updates Wizard services do not offer a free trial � you always pay for the data you download, based on the amount of data you need. The more you download the lower the data price is. For the detailed rate schedule please look here (very bottom of the page).

To illustrate quickly, here is what you can get for $10 a month (the service minimum monthly fee):

  • Daily updates of �raw IV� or �IV Index� dataset for about 12 instruments for a month
  • Daily updates of �Volatility Surface� dataset for about 8 instruments for a month
  • Daily updates of Realized (historical) volatility for about 22 instruments for a month

Again, if you require more data, please use this form to submit a custom data request.

Service Usage and Tips

To configure the data updates service you just need to click on the Updates Wizard link in the site navigation menu. The first time you access this page you will be asked to subscribe to the service (a link at the top of this page). The service subscription does not mean any immediate charge, you will be charged later based on the amount of data you received in the daily updates. So the subscription is actually just a registration (though you will do need to provide payment information � your credit card).

Once your subscription has been activated you�re redirected to the �updates dataset� configuration screen (see Fig 1. below):

Fig. 1. Dataset configuration, list of active datasets.

This screen shows the list of your current datasets, configured for the updates delivery. Naturally, the initial list is empty. To add a new dataset, just click on the �Add� button and proceed to the first step pf the wizard � �Equities selection�.

The first step is about selecting the instruments you want to download. You can either enter a comma-separated list of tickers and select the region on the left (choose from USA, Canada and Europe regions) or, you can use your pre-defined Favorite list on the right. When you click �Add� the instruments will be added to your instruments �basket�. For more details and hints setting up the instruments list, please read �Step 1� section of the Data Download Wizard newsletter.

As you see on the screenshot below, I�m selecting five instruments for this dataset:

Fig. 2 Instruments selection step

The second step of the Wizard offers the volatility type (dataset) selection � the �raw IV� dataset is my choice on the screen below:

Fig 3. Dataset selection step

The last step of the Wizard summarizes your order:

Fig 4. Your daily dataset is configured

As you see on the screen above the monthly fee for this dataset is just $3.78, which is below the minimum monthly $10 service charge. You can also change the default delivery option here � if you mark the checkbox �send the data in attached SCV file�, you will receive your daily data as an attachment file in the email. Otherwise you will be emailed the HTTP download link only.

Once you click the �Accept� button you�re all set!

Fig. 5 The new dataset is configured

You can modify your dataset anytime later (just click on the �Edit� link in the table above), or you can Add an entirely new dataset here.

As we mentioned in our previous newsletter about the Daily Updates Wizard you�re given an option to setup your daily updates dataset on the final step of the Download Wizard as well � see the Daily Data link on the screen below (upper right corner):

Fig. 6. The final step of the Data Download Wizard

As usually, feel free to email us your questions and suggestions at support@ivolatility.com.